Help! SD card saves

Hi all.....got a wii for christmas for my kids....I think I love it more! I am addicted to Links training game. I have found I love my wii zapper! LOL
any way, when I am done shooting various things, The game always tells me that my scores will be erased. If I say yes....it will let me go back , If I say no, the game stays where it is.
I bought an sd card, thinking I could save on it like we do with the playstation2, but it still doesn't save the scores. Am I doing something wrong?
I figured out how to get into the wii memory and can transfer back and forth between the wii and the sd card. I still have room in the original 512 of the wii, so ...why won't it save my scores?
also....my son cannot save his mario galaxy on the sd card either. (but it does save on the wii memory) I am guessing it is very different than a memory card we use for the PS2.
Any help is greatly appreciated! thanks!!

Wait, so after your done shooting, the game tells you the score will be erased? What exactly does it say/do?

The SD card is mainly used for taking photo's with on your camera then transferring to your wii directly, but you can also save game data on it. You can't directly save from the game to the SD card though. I dunno why its not saving your scores...

The SD card doesn't act like a PS2 memory card. The PS2 doesn't have any built-in memory, so it can only save data to an external memory card. On the other hand, the Wii has built-in flash memory, and games save directly to that. In order to get game save data to the SD card, you would have to first save the data to the Wii's memory, and then copy it to the SD card in the Data Management screen. As far as I know, there is no way for you to save directly to the SD card from a game.
As for Link's Crossbow Training, I've no experience with that game, so I don't know what to tell you.

Wiimoto,
When I go to exit the game, It says....your scores for this session will be erased and then I have to pick yes or no. If I pick yes, I can go back if I pick no, the same game screen continues. I thought this was weird, considering I still have room in the wii memory.